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Volume 16, Issue 1
A Note on the Valuation of American Option

Baojun Bian & Lishang Jiang

J. Part. Diff. Eq., 16 (2003), pp. 29-36.

Published online: 2003-02

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  • Abstract
American options give holder a right to exercise it at any time at will, the holder should to make the exercise policy in such a way that the expected payoff from the option will be maximized. In this note we prove that it is equivalent to a fact which makes the option value and option delta continuous.
  • Keywords

American option Free boundary problems

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@Article{JPDE-16-29, author = {Baojun Bian and Lishang Jiang }, title = {A Note on the Valuation of American Option}, journal = {Journal of Partial Differential Equations}, year = {2003}, volume = {16}, number = {1}, pages = {29--36}, abstract = { American options give holder a right to exercise it at any time at will, the holder should to make the exercise policy in such a way that the expected payoff from the option will be maximized. In this note we prove that it is equivalent to a fact which makes the option value and option delta continuous.}, issn = {2079-732X}, doi = {https://doi.org/}, url = {http://global-sci.org/intro/article_detail/jpde/5403.html} }
TY - JOUR T1 - A Note on the Valuation of American Option AU - Baojun Bian & Lishang Jiang JO - Journal of Partial Differential Equations VL - 1 SP - 29 EP - 36 PY - 2003 DA - 2003/02 SN - 16 DO - http://doi.org/ UR - https://global-sci.org/intro/article_detail/jpde/5403.html KW - American option KW - Free boundary problems AB - American options give holder a right to exercise it at any time at will, the holder should to make the exercise policy in such a way that the expected payoff from the option will be maximized. In this note we prove that it is equivalent to a fact which makes the option value and option delta continuous.
Baojun Bian and Lishang Jiang . (2003). A Note on the Valuation of American Option. Journal of Partial Differential Equations. 16 (1). 29-36. doi:
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